Learning Curve

The Committee of European Securities Regulators published a consultation paper March 18 on its draft advice to the European Commission regarding clarification of eligible assets for UCITS funds.

The U.K. Panel On Takeovers And Mergers has amended its City Code On Takeovers And Mergers to add a requirement for disclosure of dealings in options and other derivatives to the long-standing Code requirements for disclosure of securities dealings during an 'offer period'.

In our last Learning Curve (DW, 8/8) we introduced a local correlation model that makes correlation a function of the economy.

Since the beginnings of the collateralized debt obligation market, there has been intense interest in ensuring bespoke CDO positions are correctly marked to market.

Many ideas have been proposed to build correlation smile curves close to those observed in the tranched iTraxx market.

Collateral management is a vitally important support area.

Traditional risk measures such as value at risk (VaR) and expected shortfall (ES) have serious limitations and their use can lead to undesirable outcomes.

Bank Indonesia announced a number of restrictive fx regulations on June 14 that came into effect Thursday.

Since its inception in 1990, China's stock market has grown to list more than 1,300 stocks.

In the last few years there has been tremendous growth in structured products, especially collateralized debt obligations.

Though cash and U.S. Treasury securities are the usual collateral for derivatives transactions, in recent years non-standard collateral (NSC) such as corporate bonds and derivatives of various descriptions has been increasingly used for this purpose.

The variance swap has gained increasing popularity among institutional investors seeking synthetic exposure to equity market volatility.